This Vestas made windmill in Denmark was destroyed in February 2008 during a high wind storm. Apparently the blades were allowed to spin beyond redline speeds when the protective braking mechanism failed. Not only did the blades fly off, but they took the support tower with it.
And here’s another camera angle:
And here is a photo of the aftermath, via Snopes, from a Danish newspaper:
Of course, this windmill collapse from last year should not be confused with the recent “story” about windmills and UFOs making the rounds on the web.